The Stack Overflow podcast is back! Listen to an interview with our new CEO.

# Questions tagged [continuous-time]

The tag has no usage guidance.

11 questions
Filter by
Sorted by
Tagged with
66 views

### Simulating a (discretized) Cox process via binomial sampling

Let X be a Cox process (doubly-stochastic Poisson process) driven by a Poisson process with fixed intensity(rate) $\lambda=50$ , and choose some small time interval $dt=0.01$ . Is the proper way to ...
13 views

### Can the interarrival times of a continuous time markov chain be distributed with 2 parameter (scale,location) exponential distributions?

I'm trying to model data with a time-homogenous CTMC with a number of states with corresponding constant transition rates $\lambda_{i}$ when I notice that much of the transition times from one state ...
31 views

### Correspondence between time series models in continuous vs. discrete time

I am interested in an overview over the connection and correspondence between time series models in continuous vs. discrete time in finance. E.g. take ARMA(p,q) or GARCH(s,r) or ARMA(p,q)-GARCH(s,r) ...
145 views

54 views

### Generate PDF from CTMC

I have an irreducible continuous-time Markov chain (CTMC) with a finite state space. The CTMC also does not have any one-step transitions from any state to itself. I have the transition rate matrix $Q$...
50 views

### Modeling by means of a negative binomial process

The negative binomial distribution with parameters $p\in(0,1)$ and $t>0$ is sometimes defined as the distribution of the number of failures before the $t$th success. This is supported on the set \$\{...
58 views

### Derivation Harvey (1984) Logistic Curve

Given a logistic function of the form. \begin{align*} f(t) = \frac{\alpha}{1 + \beta e^{\gamma t}} \end{align*} Harvey (1984) differentiates this and takes logs to yield: \begin{align*} \ln f' = 2 ...